ANALISIS PORTOFOLIO INVESTASI PADA SAHAM LQ45 DENGAN METODE MEAN VARIAN SATU KONSTRAIN

Jurnal Varian ◽  
2018 ◽  
Vol 1 (2) ◽  
pp. 22-29
Author(s):  
Gilang Primajati
Keyword(s):  
Capital Markets ◽  
Minimum Variance ◽  
Return Rate ◽  
Optimal Portfolio ◽  
Portfolio Diversification ◽  
Portfolio Risk ◽  
Expected Return ◽  
Positive Weight ◽  
The Mean

In the capital markets, especially the investment market, the establishment of a portfolio is something that must be understood by investors. Portfolio formation by investors to maximize profits as much as possible by minimizing the risk of losses that may occur. Portfolio diversification is defined as portfolio formation in such a way that it can reduce portfolio risk without sacrificing returns. Optimal portfolio with efficient-portfolio mean criteria, investors only invest in risk assets only. Investors do not include risk free assets in their portfolios. The efficient variance portfolio is defined as a portfolio that has minimum variance among the overall possible portfolio that can be formed, at the same expected return rate. The mean method of one constraint variant can be used as the basis for optimal portfolio determination. The shares of LQ-45 used are shares of AALI, BBCA, UNVR, TLKM and ADHI. AALI shares received a positive weight of 7%, BBCA 48%, UNVR 16%, TLKM 26% and ADHI 3%

scholarly journals PERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION

2021 ◽  
Vol 10 (2) ◽  
pp. 65
Author(s):  
NI KADEK NITA SILVANA SUYASA ◽  
KOMANG DHARMAWAN ◽  
KARTIKA SARI
Keyword(s):  
Optimal Portfolio ◽  
Stock Index ◽  
Mean Absolute Deviation ◽  
Portfolio Risk ◽  
Investment Portfolio ◽  
Expected Return ◽  
Absolute Deviation ◽  
Index Data ◽  
The Mean ◽  
Deviation Method

Knowing and managing investment portfolio risk is the most important factor in growing and preserving capital. The purpose of this study is to determine the optimal portfolio using Mean-Semivariance and Mean Absolute Deviation methods. The Mean-Semivariance method is a method that uses semivariance-semicovariance as a measure of risk while the Mean Absolute Deviation method uses the absolute deviation between realized return and expected return as a measure of risk. This study uses stock index data of LQ45 period February 2017-July 2019. The results of this study are that the Mean Absolute Deviation method gives higher return and risk than the Mean-Semivariance method.

scholarly journals Analisis Portofolio Investasi dengan Metode Multi Objektif

Jurnal Varian ◽  
2019 ◽  
Vol 3 (1) ◽  
pp. 6-12
Author(s):  
Gilang Primajati ◽  
Ahmad Zuli Amrullah ◽  
Ahmad Ahmad
Keyword(s):  
Minimum Variance ◽  
Optimal Portfolio ◽  
Risk Level ◽  
Risk Averse ◽  
Expected Return ◽  
Risky Assets ◽  
Variant Method ◽  
The Mean ◽  
Mean Variance ◽  
Constraint Method

In the formation of an efficient portfolio, many methods can be used. Of course with its own assumptions and advantages. In the process, reasonable investor assumptions tend to be risk averse. Investors who are risk averse are investors who, when faced with two investments with the same expected return, will choose an investment with a lower risk level. If an investor has several efficient portfolio choices, then the most optimal portfolio will be chosen. Optimal portfolio with mean-variance efficient portfolio criteria, investors only invest in risky assets. Investors do not include risk free assets in their portfolios. Mean-variance efficient portfolio is defined as a portfolio that has a minimum variance among all possible portfolio that can be formed, at the mean level of the same expected return. The mean variant method of the two constraints can be used as a basis in determining the optimal portfolio weight by minimizing the risk of portfolio return with two constraints. In this article the problem referred to is symbolized by lamda and beta. With this two-constraint method, the results obtained are more detailed so that they can describe the results of a sharper analysis for an investor.

ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM IDX BUMN20 DI BURSA EFEK INDONESIA JANUARI 2018-JANUARI 2019

2019 ◽  
Vol 4 (2) ◽  
Author(s):  
Mochamad Andik Firmansyah
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Rate Of Return ◽  
Portfolio Risk ◽  
Expected Return ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Market Return ◽  
Single Index Model

Penelitian ini bertujuan untuk menentukan level of expected return dan the best risk of optimal portfolio  formation dengan menggunakan Single Index Model pada saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dari bulan Januari 2018 sampai January 2019. Saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dengan populasi sebanyak 20 perusahaan. Dengan menggunakan populasi sebesar 20 perusahaan maka peneliti menggunakan purposive sampling, dan ternyata hanya 18 perusahaan saja yang ditemukan memenuhi kriteria penelitian ini. Penelitian ini juga menggunakan metode Kuantitatif Deskriptif. Analisa data pada penelitian ini untuk menentukan saham-saham mana saja yang termasuk the optimal portfolio, dan juga the level of proportion of 1 funds yang termasuk juga dalam kategori the optimal portfolio dan the level of expected return serta the best risk of the optimal portfolio yang terbentuk dengan menggunakan Single Index Model. Hasil dari penelitian ini menunjukan bahwa terdapat 5 perusahaan dengan kategori the optimal portfolio dari 18 sampel perusahaan pada saham IDX BUMN 20 dengan tingkat tertinggi dari level of proportion of 1 funds ditemukan pada PTBA share sat 1.89333 or 189,333%, di lain pihak dengan tingkat terendah adalah pada TLKM shares at -2.13488 or -213.488% yang berarti bahwa saham TLKM adalah negatif dan harus dijual dalam jangka waktu pendek sebesar 213,488% dari dana yang dimiliki oleh para inventor dan menghasilkan rate of return yang diharapkan dari formasi optimal portfolio sebesar 0.17583 or 17.583% lebih tinggi dari yang diharapkan oleh market return sebesar 0.00264 or 0.264% dan memiliki tingkat portfolio risk borne sebesar 0.10384 or 10,384%, lebih kecil dari the risk of market sebesar 0.03367 or 3,367% dan beta market sebesar 1.Kata Kunci : Portfolio, Optimal Portfolio, Single Index Model.

scholarly journals Markowitz Model in The Analysis of Optimal Portfolio Establishment on Jakarta Islamic Index (JII) in Indonesian Stock Exchange

2020 ◽  
Vol 8 (2) ◽  
pp. 190-201
Author(s):  
Anwar Ramli ◽  
Anwar ◽  
Indah Lestari Anwar
Keyword(s):  
Data Analysis ◽  
Data Collection ◽  
Sampling Method ◽  
Stock Exchange ◽  
Optimal Portfolio ◽  
Portfolio Risk ◽  
Expected Return ◽  
Purposive Sampling ◽  
Markowitz Model

This study aims to know the optimal portfolio establishment using Markowitz model on Jakarta Islamic Index (JII) stocks in the period of December 2013-May 2019. The population of this study consisted of the company stocks on Jakarta Islamic Index (JII) in the period of  December 2013-May 2019, and there were 59 stocks. While the study sample consisted of 14 company stocks and selected based on purposive sampling method. Data collection used in this study using documentation. Data analysis used in this study using the stages of Markowitz model and started collecting the close price until an optimal portfolio establishment. The result of this study showed that there were 8 company stocks included in the optimal portfolio. Namely AKRA (5,01%), ICBP (9,92%), INDF (3,75%), SMGR (8,61%), TLKM (29,01%), UNTR (20,30%), UNVR (20,88%), WIKA (2,53%). The expected return of the portfolio of 0,84%. Therefore, portfolio risk of 3,16%and smaller than the risk of individual stocks in the research sample.

scholarly journals Analisis Portofolio Optimal Saham Indeks Lq-45 Dengan Model Indeks Tunggal Di Bursa Efek Indonesia

2017 ◽  
Vol 5 (2) ◽  
Author(s):  
ALMUNFARIJAH ALMUNFARIJAH
Keyword(s):  
Central Asia ◽  
Stock Returns ◽  
Optimal Portfolio ◽  
Risk Level ◽  
Portfolio Risk ◽  
Expected Return ◽  
Minimum Risk ◽  
High Return ◽  
The Difference ◽  
Portfolio Return

Rational investors  invest in efficient stocks, the stocks that have  high return with minimum risk. The sample in this study using the stocks in the group LQ-45 index during the period February 2013-July 2013. The purpose of the study was to establish the optimal portfolio and to know the difference between stock returns and the risk of candidate and non-candidate portfolirn On Equity (ROE).The results showed there were 15 stocks that become candidate in a portfolio out of 45 stocks studied with the cut of point value -2.7-7. Optimal portfolio is formed by 15 stocks that have excess returns to beta (ERB) which is greater than the risk-free return (Rf).The largest proportion of funds owned by PT Kalbe FarmaTbk i.e 16,2 %, and the smallest proportion of the funds owned by PT Bank Central Asia Tbk i.e 0,1101288%. Rational investor would prioritize to invest in securities that have a the largest proportion of the funds, because of that large proportion of funds so we will be getting higher profit with the certain risks as well.Investors that will invest theirs funds into these 15 companies that have formes this optimal portfolio would get portfolio profit 2,1-7 and portfolio risk -2.7-7. That portfolio profit is not far different with the expected return of each individual stock. So despite using LQ-45 stocks that have the biggest marketing capitalization and the most liquid infact it has not guarante that investors would gain their expectation of getting portfolio return as what they expected.Risk portfolio of 2,1-7 is smaller than the risk level of each individual stock . Although the establishment of the optimal portfolio yield expected return of portfolio which is not much different with thereturn of individual stock,but still provide the benefit of diversification that is beneficial for reducing the risk of each individual stock

scholarly journals Effective Portfolios – An Application of Multi-Criteria and Fuzzy Approach

2019 ◽  
Vol 19 (1) ◽  
pp. 126-139
Author(s):  
Ewa Pośpiech
Keyword(s):  
Return Rate ◽  
Risk Level ◽  
Fuzzy Approach ◽  
Portfolio Risk ◽  
Expected Return ◽  
Additional Information ◽  
Net Profit ◽  
The Given ◽  
Initial Selection ◽  
Selection Of

Abstract Research background: When selecting effective portfolios, the portfolio risk is minimized at the given expected return rate or the expected return rate is maximized with a given risk level. However, it is also worth using additional information, such as fundamental and market indicators to examine the companies’ economic and financial situation. Taking into account the chosen indicators, the initial selection of companies can be approached as a multi-criteria problem. Besides, the choice of the period from which data will be taken gives the opportunity to use non-standard tools. Purpose: The main aim of the article is to compare the profitability of effective portfolios obtained on the basis of a multi-criteria grouping of companies. Research methodology: In the study TOPSIS and FTOPSIS methods were used. Results: The results showed that the fuzzy approach could be an effective tool in obtaining more beneficial effective portfolios. Moreover, in the research, two sets of criteria differing by one indicator were used: in one of the approaches the P/E ratio was used, in the second the P/E ratio was replaced by the value of net profit per share – the analyses showed that the portfolios built on the basis of the groups for which the P/E ratio was used, had recorded better results. Novelty: The values of criterion evaluations from the considered years were treated as triangular fuzzy numbers – this enabled the use of the FTOPSIS method and a comparison of different approaches.

Markowitz Theory in Portfolio Optimization for Heavy Tailed Assets

2019 ◽  
Vol 1 (3) ◽  
pp. 1-14
Author(s):  
Wong Ghee Ching ◽  
Che Mohd Imran Che Taib
Keyword(s):  
Portfolio Optimization ◽  
Composite Index ◽  
Minimum Variance ◽  
Optimization Techniques ◽  
Expected Return ◽  
Markowitz Model ◽  
The Mean ◽  
Heavy Tailed ◽  
Mean Variance Portfolio ◽  
Mean Variance

This paper aims at solving an optimization problem in the presence of heavy tail behavior of financial assets. The question of minimizing risk subjected to a certain expected return or maximizing return for a given expected risk are two objective functions to be solved using Markowitz model. The Markowitz based strategies namely the mean variance portfolio, minimum variance portfolio and equally weighted portfolio are proposed in conjunction with mean and variance analysis of the portfolio. The historical prices of stocks traded at Bursa Malaysia are used for empirical analysis. We employed CAPM in order to investigate the performance of the Markowitz model which was benchmarked with risk adjusted KLSE Composite Index. We performed a backtesting study of portfolio optimization techniques defined under modern portfolio theory in order to find the optimal portfolio. Our findings showed that the mean variance portfolio outperformed the other two strategies in terms of performance of investment for heavy tailed assets.

scholarly journals An Analytical Study on Harry Markowitz Portfolio Construction of Selected Industries

2019 ◽  
Vol 15 (4) ◽  
pp. 99
Author(s):  
Vishweswarsastry V.N. ◽  
Binoy Mathew
Keyword(s):  
Decision Making ◽  
Analytical Study ◽  
Primary Objective ◽  
Optimal Portfolio ◽  
Portfolio Construction ◽  
Portfolio Risk ◽  
Expected Return ◽  
Construction Technique ◽  
Risk And Return ◽  
Markowitz Portfolio

Risk and return are two faces of the same coin, Investments made by the investors are certain whereas the returns expected are uncertain when measured known as risk. The primary objective of the paper is to study the risk and return measures available for decision making, secondly to apply the techniques of beta and standard deviation for analyzing the risk and expected return for analyzing the return and to construct an optimal portfolio by applying Harry Markowitz portfolio construction technique. The Methodology applied is analytical and descriptive and application of Harry Markowitz portfolio Risk and Return techniques for the construction of an optimal portfolio.

scholarly journals PEMBENTUKAN PORTOFOLIO OPTIMAL BERDASARKAN MODEL INDEKS TUNGGAL PADA SAHAM INDEKS IDX30 DI BEI

2019 ◽  
Vol 8 (6) ◽  
pp. 3814
Author(s):  
Nyoman Candra Tri Wahyuni ◽  
Ni Putu Ayu Darmayanti
Keyword(s):  
Optimal Portfolio ◽  
Risk Level ◽  
Portfolio Risk ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Investment ◽  
Portfolio Return

Stocks are included in determination of the optimal portfolio along with the proportion of each stock and to know how much portfolio return and risk investors will get in the future. The study was conducted on the IDX30 Index on the IDX for the period August 2016 - January 2018. The population of this study used shares that were incorporated in IDX30 Index with sample used was 25 IDX30 Index stocks during the study period. The study uses the optimal portfolio model, namely the Single Index Model The results of the study show that from 25 stocks there are 8 stocks that can form an optimal portfolio with their respective proportions, consisting shares of ADRO, BBC, BBNI, BBRI, BMRI, GGRM, PWON, and UNTR. These shares provide a portfolio expected return of 3.25 percent with a portfolio risk level of 0.07 percent. Keywords: Stock Investment, Return, Risk, Optimal Portfolio, Single Index Model

Analisis Pembentukan Portofolio Optimal dengan Menggunakan Model Indeks Tunggal (Studi pada Saham LQ45 Periode 2014-2016)

2019 ◽  
Vol 4 (2) ◽  
pp. 153
Author(s):  
Wiyuda Hadi Pratama ◽  
Taufik Akbar
Keyword(s):  
Research Method ◽  
Sampling Technique ◽  
Optimal Portfolio ◽  
Quantitative Approach ◽  
Portfolio Risk ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Descriptive Research ◽  
Single Index Model

The purpose of this study is to find out the optimal portfolio stocks formed through the Single Index Model. The research method used in this study is a descriptive research method with a quantitative approach. While the sampling technique uses a purpose sampling technique, with the criteria of stocks entering LQ45 during 2014-2016 respectively. The population contained in this study were 58 shares, and 33 samples were taken. The results of the analysis show that the stocks included in the optimal portfolio category are only 8 shares with the proportion of funds being WSKT 33.18%, PTPP 22.74%, AKRA 7.51%, GGRM 9.57%, TLKM 19.63%, UNVR 4, 65%, PWON 2.42%, and ADRO 0.31%. Based on the optimal stock calculation formed, the portfolio expected return is 0.0364 and portfolio risk is 0.0010.

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